Conditional Value-at-Risk (CVaR / Expected Shortfall) — The average loss when losses exceed VaR. Captures the SEVERITY of tail risk — not just the cutoff.
If VaR is $10,000 and CVaR is $18,000: when the bad 5% scenario happens, the AVERAGE loss in those scenarios is $18,000.
CVaR is the regulatory preferred measure under Basel III — preferable to VaR because it tells you how bad the tail actually is. IndexAlpha computes 95% and 99% CVaR on every portfolio.
The Conditional Value-at-Risk (CVaR / Expected Shortfall) metric shows up on every IndexAlpha research page. See it now on QQQ — or research any stock to view its Conditional Value-at-Risk (CVaR / Expected Shortfall).
The average loss when losses exceed VaR. Captures the SEVERITY of tail risk — not just the cutoff.
CVaR is the regulatory preferred measure under Basel III — preferable to VaR because it tells you how bad the tail actually is. IndexAlpha computes 95% and 99% CVaR on every portfolio.